John B. Lee

University of Auckland Business School

Senior Lecturer

12 Grafton Rd

Private Bag 92019

Auckland, 1010

New Zealand

  • University of Auckland Business School

    • Email
    • Tel: 649 373 7599 ext. 85171
    • Fax: 649 373 7406
SCHOLARLY PAPERS

9

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Top 16,923

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42

Scholarly Papers (9)

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1.

Are Men More Optimistic?

Number of pages: 54 Posted: 16 Nov 2007 Last Revised: 21 Jan 2009
Ben Jacobsen, John B. Lee and Wessel Marquering
Tilburg University - TIAS School for Business and Society, University of Auckland Business School and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 932 (54,394)

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Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion

2.

Time-Varying Rare Disaster Risk and Stock Returns

Number of pages: 64 Posted: 18 Mar 2010 Last Revised: 12 Oct 2010
Henk Berkman, Ben Jacobsen and John B. Lee
University of Auckland Business School, Tilburg University - TIAS School for Business and Society and University of Auckland Business School
Downloads 878 (59,041)
Citation 32

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Equity Premium, Volatility, Rare Disasters, International Political Crises, Consumption

3.

Beta Measurement and Forecasting with High Frequency Returns

Number of pages: 33 Posted: 04 Sep 2019 Last Revised: 11 Apr 2021
Bao Huy Doan, John B. Lee, Qianqiu Liu and Jonathan J. Reeves
University of New South Wales, University of Auckland Business School, University of Hawaii at Manoa - Shidler College of Business and UNSW Business School, University of New South Wales
Downloads 318 (203,746)
Citation 1

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CAPM, realized betas, systematic risk

4.

Targeting Market Neutrality

UNSW Business School Research Paper
Number of pages: 31 Posted: 20 Jan 2017 Last Revised: 10 Sep 2021
John B. Lee, Jonathan J. Reeves, Alice Tjahja and Xuan Xie
University of Auckland Business School, UNSW Business School, University of New South Wales, UNSW Australia Business School, School of Banking and Finance and Commonwealth Bank of Australia
Downloads 201 (322,758)

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Beta forecasting, portfolio optimization, short-horizon forecasting

5.

Gender Differences in Optimism and Asset Allocation

Number of pages: 54 Posted: 16 Nov 2007
Ben Jacobsen, John B. Lee, Wessel Marquering and Cherry Yi Zhang
Tilburg University - TIAS School for Business and Society, University of Auckland Business School, Erasmus University Rotterdam (EUR) - Department of Financial Management and Nottingham University Business School China
Downloads 198 (328,859)
Citation 9

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Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion

6.

Cryptocurrency Systematic Risk Dynamics

Downloads 156 (404,554)

Cryptocurrency Systematic Risk Dynamics

UNSW Business School Research Paper Forthcoming
Number of pages: 14 Posted: 28 Sep 2023
Bao Doan, John B. Lee, Dulani Jayasuriya and Jonathan J. Reeves
Royal Melbourne Institute of Technolog (RMIT University), University of Auckland Business School, University of Auckland Business School and UNSW Business School, University of New South Wales
Downloads 84 (645,804)

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Cryptocurrency, Bitcoin, Ethereum, Realized Betas, systematic risk

Cryptocurrency Systematic Risk Dynamics

UNSW Business School Research Paper Forthcoming
Number of pages: 14 Posted: 19 Feb 2024
Bao Doan, Dulani Jayasuriya, John B. Lee and Jonathan J. Reeves
Royal Melbourne Institute of Technolog (RMIT University), University of Auckland Business School, University of Auckland Business School and UNSW Business School, University of New South Wales
Downloads 72 (706,863)

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Bitcoin, Ethereum, Realized Betas.

7.

Specifics Matter: An Analysis of Mutual Fund ESG Disclosures

Number of pages: 50 Posted: 18 Oct 2024
Huayu Shi, Xing Han, John B. Lee and Helen Lu
University of Auckland, University of Auckland Business School, University of Auckland Business School and Vlerick Business School
Downloads 138 (446,889)

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ESG, Fund Flows, LLM, Prospectuses, Specificity

8.

Mutual Fund Flows and Seasonalities in Stock Returns

Journal of Banking & Finance, 144, 106623. DOI: 10.1016/j.jbankfin.2022.106623., The University of Auckland Business School Research Paper Series
Posted: 29 Sep 2022
Moritz Wagner, John B. Lee and Dimitris Margaritis
University of Canterbury, University of Auckland Business School and University of Auckland Business School

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Mutual funds, Fund flows, Return seasonality, Price pressure, Feedback trading

9.

Beta Forecasting with Realized Beta Estimators and Machine Learning Algorithms

Posted: 14 Jan 2021
Bao Huy Doan, Dulani Jayasuriya, John B. Lee and Jonathan J. Reeves
University of New South Wales, University of Auckland Business School, University of Auckland Business School and UNSW Business School, University of New South Wales

Abstract:

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CAPM, Systematic Risk